Fixed Innterest Attribution: Toward a Generic Model
Paul Giles, Teachins

Proprietary Models, which implement Equity Attribution Reporting, almost universally follow the Brinson Additive Model where currencies are not actively managed or the Karnosky-Singer Model where they are. No such ‘Generic Models’ exist for Fixed Interest Attribution. Instead, different academics working alone or with Software Suppliers have individually designed models. This can be a challenge for individuals looking to gain an understanding of FIA as it can appear that every implemented model represents a re-learning exercise. This is not the case, however; considerable commonality exists across models. The definition of a “Generic FIA Model” could help to address this problem. The natural complexity of FIA means that such a definition would unavoidably be a significant challenge; in fact many believe it can’t be done. This article, however, makes a start on that road. In particular it:

• Defines three distinct categories for FIA models – Top-Down, Bottom-Up or Hybrid
• Documents where overlap exists across selected models
• Highlights the issues in developing a Generic Model incorporating the key returns of well-known proprietary
models.

Although this article, the first known attempt to categorize and compare across implemented FIA models using a common data set, only makes a start, the framework introduced here allows further models and instruments to be added, facilitating follow-up articles.